I've been thinking about this for awhile and it's really bugging me. I want someone's else's opinion on this.
In the "Article about murder incident" found in the trash on Silent Hill 2 (can be read here> http://silenthill.wikia.com/wiki/Wood_Side_Apartments_Memos) it reads about Walter Sullivan, the Order related killer from Silent Hill 4. In the memo, it mentions that the "Red Devil" was after him, the "Red Devil" being Pyramid Head. I was thinking that when Walter was killing his first couple victims for the 21 Sacrements, the God (Samael) didn't like how Walter was completing the ritual so she sent Pyramid Head to go kill Walter. Maybe, Pyramid Head quit chasing Walter when he got side-tracked by James Sunderland, whose torturous past fed the town of Silent Hill better. Or maybe Walter got away from Pyramid Head by killing himself, leaving his ghost to finish the 21 Sacrements. Since you can't really kill a ghost (you can only pin them down with the Sword of Obedience) Pyramid Head was unable to kill Walter and just went after James.
Can I please get some people's thought on this?